The probability of ruin in a discrete semi-Markov risk model

DOI10.1007/BF02808838zbMath1320.91094MaRDI QIDQ5422744

Mohammed Snoussi, Jean-Marie Reinhard

Publication date: 30 October 2007

Published in: Blätter der DGVFM (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ Criterion of semi-Markov dependent risk model ⋮ Über die Verteilung des Überschusses vor und zum Zeitpunkt des Ruins in Semi-Markov-Risikomodellen;On the distribution of the surplus prior to ruin and at ruin in a discrete semi-markov risk model

Cites Work

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• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Aspects of risk theory
• On the Ruin Problem of Collective Risk Theory
• Risk theory in a Markovian environment

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